A quick hack that fixes the problem for me and allows me to insert images with a link, in the file wp-content/plugins/ckeditor-for-wordpress/plugins/wpgallery/plugin.js, replace line 251
data = data.replace( /\[caption(.*?)\]([^>]+?>)(.*?)\[\/caption\]/mig, function(match, captionAttr, imgTag, captionText)
with
data = data.replace( /\[caption(.*?)\](.*>)([^<]*?)\[\/caption\]/mig, function(match, captionAttr, imgTag, captionText)